Quote Originally Posted by aviation dictionary at Answers.com
A line on the surface of the earth that cuts all meridians at the same angle. It appears as a curved line on the surface of a sphere. Only one such line may be drawn through any two points. Although this is not the shortest distance, the direction is constant. Normally, flights of less than 1,000 NM distance follow the rhumb-line track, whereas flights of a longer distance follow the great-circle track. Also called an equiangular spiral, loxodrome, loxodromic curve, or Mercator track.
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As far as I can figure out, the origins of the rhumb lines are generally marked by wind roses having the cardinal directions, and are chosen to be easily identifiable navigable points... harbours or points where you could triangulate by line of sight.

-Rob A>